中国分行业的汇率传递机制——基于出口价格角度  

Research on Exchange Rate Pass-through of Sub-Industries in China——From the Perspective of the Export Price

作　　者：邹宏元 张杰[2] 王挺 Zou Hongyuan1;Zhang Jie2;Wang Ting3

机构地区：[1]西南财经大学经济学院 [2]西南财经大学金融学院

出　　处：《财经科学》2017年第12期40-54,共15页Finance & Economics

基　　金：四川省科技厅项目"中国与主要贸易伙伴之间的双边贸易和双边分行业贸易问题研究"(18RKX0291)

摘　　要：本文编制了19个主要出口行业的分行业名义有效汇率,进而分析我国分行业汇率传递的不完全性、非对称性、时变性、短期动态性等特征。研究表明:第一,在19个出口行业中有6个行业存在显著的不完全汇率传递;第二,这6个行业中有5个行业的汇率传递未表现出显著的非对称性;第三,这6个行业在本次金融危机前后均出现了汇率传递系数的显著变化。In this paper, the nominal effective exchange rate of sub-industries in 19 major export industries has been compiled in order to analyze the characteristics of exchange mtc pass-through of sub-industries in China, such as in- completeness, asymmetry, time-varying, short-term dynamic and so on. The research shows that： firstly, there is signif- icant incomplete exchange rate pass-through in 6 industries out of 19 export industries; secondly, the exchange rate pass-through in 5 industries out of these 6 industries shows no significant asymmetry; thirdly, the exchange rate pass- through coefficient has experienced significant changes in these 6 industries before and after the financial crisis. And the results show that the sub-industry exchange rate can more effectively reflect the dynamic changes in the sub-indus- try export price of China.

关 键 词：分行业汇率传递 不完全性 非对称性 时变性 

分 类 号：F832.6[经济管理—金融学]